Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3901 |
| Annualized Std Dev | 0.6072 |
| Annualized Sharpe (Rf=0%) | -0.6424 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3093.0000 |
| NAs | 1.0000 |
| Minimum | -0.1870 |
| Quartile 1 | -0.0193 |
| Median | -0.0015 |
| Arithmetic Mean | -0.0012 |
| Geometric Mean | -0.0020 |
| Quartile 3 | 0.0161 |
| Maximum | 0.2931 |
| SE Mean | 0.0007 |
| LCL Mean (0.95) | -0.0026 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0015 |
| Stdev | 0.0383 |
| Skewness | 0.5874 |
| Kurtosis | 5.9734 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0260 |
| Gain Deviation | 0.0299 |
| Loss Deviation | 0.0258 |
| Downside Deviation (MAR=210%) | 0.0313 |
| Downside Deviation (Rf=0%) | 0.0267 |
| Downside Deviation (0%) | 0.0267 |
| Maximum Drawdown | 0.9981 |
| Historical VaR (95%) | -0.0597 |
| Historical ES (95%) | -0.0872 |
| Modified VaR (95%) | -0.0529 |
| Modified ES (95%) | -0.0529 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-12-08 | 2021-02-01 | NA | -0.9981 | 3092 | 3058 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -9.4 | -9.4 |
| 2009 | -5.5 | 0.8 | -1 | -2.2 | 1.4 | -2.6 | -7 | -1.3 | 4.1 | 3.8 | -6.6 | 0.2 | -15.3 |
| 2010 | -5.9 | 0.2 | -4.9 | -1.7 | -0.2 | 8.7 | -4.1 | -0.4 | -3 | 0.5 | -3.2 | -2.7 | -16.1 |
| 2011 | -3.8 | -4.9 | -0.6 | 1.6 | 10.3 | 4.8 | 2.9 | -0.3 | 7 | 6.4 | 0.3 | 0.4 | 25.4 |
| 2012 | -2.9 | -5.2 | -0.4 | 0.4 | -5.6 | -7.6 | 4.2 | -9.1 | -1.3 | 0.2 | 4.7 | -1.9 | -22.7 |
| 2013 | -2.5 | -0.9 | 2.5 | 5.3 | 4.8 | 0.7 | 1.7 | 3.5 | 4.5 | 0.2 | -3 | 1.6 | 19.6 |
| 2014 | 0.2 | 1.3 | -0.3 | 1.1 | 2.7 | 0.4 | 0.5 | 0.9 | -1.4 | 3.8 | -12.1 | 7.5 | 3.5 |
| 2015 | -3.9 | -0.7 | -4.1 | -0.9 | -0.3 | 2.1 | 0.2 | 1.3 | -0.4 | 0.8 | -1 | 0.4 | -6.5 |
| 2016 | -1.8 | 0.3 | 4.3 | -2.5 | 0.1 | -10.2 | -0.8 | -2.6 | -1.1 | -5.2 | -0.5 | 2.8 | -16.7 |
| 2017 | 0.2 | -0.7 | -1 | 3.8 | 0.1 | -0.1 | 1.8 | -1 | 2.2 | -4.9 | 0 | -1.2 | -1 |
| 2018 | 1.1 | -1.4 | -0.9 | 2.1 | 0.3 | -1.2 | 1.6 | 0.6 | 1.9 | -6.3 | 1.9 | -1.4 | -1.9 |
| 2019 | 1.6 | 6.3 | 0.4 | 4.1 | -0.8 | 2.3 | -1.4 | -0.8 | -2.9 | -0.1 | -0.9 | 0.7 | 8.4 |
| 2020 | -1.7 | 11.7 | 1.3 | 0.6 | -4.2 | 2.4 | -8.5 | 0.6 | -4.7 | -2.4 | -12.6 | 1.5 | -16.7 |
| 2021 | -15.9 | -0.2 | -1.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -17.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
